Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
-term contracts. On the other hand, recent focus is on whether long memory can affect the measurement of market risk in the context of … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long … Value-at- Risk (V aR). In this paper, we evaluate the Value-at-Risk (V aR) and Expected Shortfall (ESF) in financial markets …